I found out what my problem is: the UEFI Bios settings screen does appear, but it appears on the Intel integrated graphics port, instead of the external graphics adapter (AMD Radeon 290, supports UEFI) that my monitor is connected to.
I did try to get it on the external graphics adapter, but couldn't make it work. If I disable integrated graphics in BIOS with secure boot enabled, Windows doesn't boot anymore with the screen staying blank. Selecting a PCIe setting as the primary adapter did not work.
So for now, if I need to change UEFI setting, I first need to connect the monitor to the integrated graphics. Then shift-restart, Troubleshoot, UEFI Settings, and then I get into the settings screen correctly.